Pangolin (Mains javanica) is an interesting endangered mammal with special morphological characteristics. Here, we applied proteomics and transcriptomics to explore the differentiation of pangolin skin appendages at two developmental stages and to compare gene expression profiles between abdomen hair and dorsal scale tissues. We identified 4,311 genes and 91 proteins differentially expressed between scale-type and hair-type tissue, of which 6 genes were shared by the transcriptome and proteome. Differentiation altered the abundance of hundreds of proteins and mRNA in the two types of skin appendages, many of which are involved in keratinocyte differentiation, epidermal cell differentiation, and multicellular organism development based on GO enrichment analysis, and FoxO, MAPK, and p53 signalling pathways based on KEGG enrichment analysis. DEGs in scale-type tissues were also significantly enriched in immune-related terms and pathways compared with that in hair-type tissues. Thus, we propose that pangolins have a normal skin innate immune system. Compared with the abdomen, the back skin of pangolins had more genes involved in the regulation of immune function, which may be an adaptive adjustment for the vulnerability of scaly skin to infection and injury. This investigation provides a scientific basis for the study of development and immunity of pangolin skin, which may be helpful in the protection of wild pangolin in China.